Jimmy Skoglund

SAS Institute Inc.

Principal Risk Product Manager

100 SAS Campus Drive

Cary, NC 27513-2414

United States

SCHOLARLY PAPERS

36

DOWNLOADS
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Top 11,809

in Total Papers Downloads

4,314

SSRN CITATIONS
Rank 33,028

SSRN RANKINGS

Top 33,028

in Total Papers Citations

4

CROSSREF CITATIONS

17

Scholarly Papers (36)

1.

Credit Risk Term-Structures for Lifetime Impairment Forecasting: A Practical Guide

Number of pages: 26 Posted: 15 Jul 2016 Last Revised: 13 Oct 2016
Jimmy Skoglund
SAS Institute Inc.
Downloads 949 (25,319)
Citation 8

Abstract:

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2.

Liquidity Risk Management after the Crisis

Number of pages: 28 Posted: 13 May 2012
Sumit Mathur and Jimmy Skoglund
SAS Institute Inc. and SAS Institute Inc.
Downloads 842 (30,086)

Abstract:

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Liquidity risk, Basel III, Collateral, Derivatives, LCR, NSFR

3.

Counterparty Exposure Management in the Basel III Era

Number of pages: 23 Posted: 13 May 2012 Last Revised: 27 Mar 2013
Sumit Mathur and Jimmy Skoglund
SAS Institute Inc. and SAS Institute Inc.
Downloads 560 (51,928)

Abstract:

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4.

Quantification of Model Risk in Stress Testing and Scenario Analysis

Number of pages: 24 Posted: 21 Sep 2017 Last Revised: 26 Apr 2018
Jimmy Skoglund
SAS Institute Inc.
Downloads 392 (80,399)

Abstract:

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5.

The Application of Credit Risk Models to Macroeconomic Regulatory Stress Testing

Number of pages: 63 Posted: 14 May 2015 Last Revised: 03 Jul 2015
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 364 (87,609)

Abstract:

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6.

Loan Fair Value Approaches Revisited

Number of pages: 22 Posted: 22 Jan 2017 Last Revised: 02 Nov 2017
Jimmy Skoglund
SAS Institute Inc.
Downloads 296 (110,265)
Citation 3

Abstract:

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7.

Risk Aggregation and Economic Capital

Number of pages: 22 Posted: 31 May 2012 Last Revised: 27 Mar 2013
Jimmy Skoglund
SAS Institute Inc.
Downloads 230 (142,861)
Citation 2

Abstract:

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8.

Forecast of Forecast: An Analytic Approach to Stressed Impairment Forecasting

Number of pages: 23 Posted: 25 Jan 2017 Last Revised: 25 Mar 2017
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 197 (165,425)
Citation 1

Abstract:

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9.

Stage Transfer Effect on Impairment Forecasts

Number of pages: 20 Posted: 18 Dec 2017 Last Revised: 17 Apr 2018
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 194 (167,768)
Citation 1

Abstract:

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Impairments, Forecast, IFRS 9, CECL, Credit Risk

10.

Rating Momentum in the Macroeconomic Stress Testing and Scenario Analysis of Credit Risk

Number of pages: 24 Posted: 13 Jun 2016 Last Revised: 06 Sep 2016
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 182 (177,652)
Citation 1

Abstract:

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credit risk, stress testing, corporate models

11.

Theory and Practice in Risk Based Capital Assessment Methodology

Journal of Risk Intelligence, 2005
Number of pages: 10 Posted: 14 Apr 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea
Downloads 65 (366,232)

Abstract:

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Risk based capital assessment, capital planning, credit risk capital

12.

On the Comprehensive Balance Sheet Stress Testing and Net Interest Income Risk Attribution

Number of pages: 36 Posted: 20 Mar 2020 Last Revised: 16 Apr 2020
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 43 (441,260)

Abstract:

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13.

The Application of Credit Risk Models to Macroeconomic Scenario Analysis and Stress Testing

Journal of Credit Risk, Vol. 12, No. 2, 2016
Number of pages: 46 Posted: 14 Jun 2016
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 0 (711,666)
Citation 1
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credit risk, stress testing, state transition models, multifactor models, macroeconomic analysis

14.

A Framework for Scenario Based Risk Management

Posted: 09 Apr 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

Abstract:

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Scenario based analysis, stress testing

15.

Essentials of Credit Portfolio Management

Posted: 09 Apr 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

Abstract:

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credit risk, credit models, credit pricing

16.

Specification and Estimation of Random Effects Models with Serial Correlation of General Form

Posted: 30 Mar 2013
Jimmy Skoglund and Sune Karlsson
SAS Institute Inc. and University of Orebro - Department of Economics

Abstract:

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random effects, panel data, model specification, hypothesis testing

17.

Asymptotics for Random Effects Models with Serial Correlation

Posted: 30 Mar 2013
Jimmy Skoglund and Sune Karlsson
SAS Institute Inc. and University of Orebro - Department of Economics

Abstract:

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error component, maximum likelihood, asymptotic behavior

18.

A Simple Efficient GMM Estimator of GARCH Models

Posted: 30 Mar 2013
Jimmy Skoglund
SAS Institute Inc.

Abstract:

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GARCH, efficient GMM, conditional variance, efficient estimation

19.

Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects

Empirical Economics, 2004
Posted: 30 Mar 2013
Jimmy Skoglund and Sune Karlsson
SAS Institute Inc. and University of Orebro - Department of Economics

Abstract:

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Random effects model, maximum likelihood, ARMA

20.

Funding Liquidity Risk: From Measurement to Management

Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Funding liquidity risk, cash flows, liquidity calculation, liquidity hedging, counterbalancing capacity, optimal liquidity hedging, liquidity execution

21.

Towards Operational Risk Management

Operational Risk Modelling and Analysis: Theory and Practice, Risk Books, Risk Publications. Ed. Marcelo Cruz (2004)
Posted: 28 Mar 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

Abstract:

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Operational risk, Loss distribution approach

22.

CVA Tail Risk and the Impact of Wrong Way Trades

Journal of Risk Management in Financial Institutions 6(3), 2013
Posted: 28 Mar 2013
Jimmy Skoglund, Doug Vestal and Wei Chen
SAS Institute Inc., Independent and SAS Institute Inc.

Abstract:

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Counterparty credit risk, CVA, Wrong way risk

23.

A Mixed Approach to Risk Aggregation

Journal of Risk Management in Financial Institutions, Vol. 6(2), (2013)
Posted: 28 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund, Wei Chen and Donald Erdman
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Risk aggregation, mixed aggregation, hierarchical aggregation, copula

Optimal Hedging of Funding Liquidity Risk

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 28 Posted: 08 Jun 2016
Wei Chen and Jimmy Skoglund
SAS Institute Inc. and SAS Institute Inc.
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liquidity risk, optimal hedging, Basel III, regulation

Optimal Hedging of Funding Liquidity Risk

Journal of Risk, Forthcoming
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Liquidity risk, optimal liquidity hedging, counterbalancing capacity

25.

Cash Liquidity at Risk

International Review of Applied Financial Issues and Economics, Vol. 4(1), (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Liquidity risk, liquidity hedging, cash liquidity, counterbalancing capacity

26.

Planning for Optimal Liquidity Execution

International Review of Applied Financial Issues and Economics, Vol. 4(1) (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Liquidity risk, optimal liquidity execution, counterbalancing capacity

27.

Cash Flow Replication with Mismatch Constraints

Journal of Risk, Vol. 14(4), (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Replicating portfolio, optimal cash flow matching, optimal cash flow replication

28.

On the Time Scaling of Value at Risk with Trading

Journal of Risk Model Validation, Vol. 5(4), (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Trading market risk, Dynamic Value at Risk, Trading Value at Risk

29.

On the Choice of Liquidity Horizon for Incremental Risk Charges: Are the Incentives of Banks and Regulators Aligned?

Journal of Risk Model Validation, Vol. 5(3), (2011)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Portfolio credit risk, Traded bonds credit risk, Incremental risk charge

30.

The Performance of Value at Risk Models During the Crisis

Journal of Risk Model Validation, Vol. 4(1), (2010)
Posted: 28 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund, Wei Chen and Donald Erdman
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

Abstract:

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VaR model performance, back testing, VaR models during crisis

31.

Risk Contributions, Information and Reverse Stress Testing

Journal of Risk Model Validation, Vol. 3(2), (2009)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Risk contributions, capital allocation, risk information measures, reverse stress testing

32.

A Credit Risk Model for Large Dimensional Portfolios with Application to Economic Capital

Journal of Banking and Finance, Vol. 30, 2006
Posted: 28 Mar 2013
Jimmy Skoglund and Kaj Nyström
SAS Institute Inc. and University of Umea

Abstract:

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Portfolio credit risk, large credit portfolios, credit risk model framework, credit risk economic capital, credit loss projections

33.

An Integrated Stress Testing Framework Via Markov Switching Simulation

Journal of Risk Model Validation, Summer Issue, 2013, Forthcoming
Posted: 27 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Stress testing, scenario analysis, integrated stress testing, tail events

34.

Building an Optimal Execution Plan for Liquidity Management Using SAS

Posted: 27 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

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Liquidity execution, Optimal execution plan, Counterbalancing capacity

35.

Funds Transfer Pricing and Risk Adjusted Performance Measurement

Posted: 31 May 2012 Last Revised: 27 Mar 2013
Jimmy Skoglund
SAS Institute Inc.

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36.

Efficient Filtering of Financial Time Series and Extreme Value Theory

Journal of Risk, Vol. 7, No. 2, pp. 63-84, Winter 2004/05
Posted: 27 Apr 2005
Kaj Nyström and Jimmy Skoglund
University of Umea and SAS Institute Inc.

Abstract:

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Univariate time series, extreme value theory, EVT, value-at-risk, VAR, Monte Carlo, t-distribution